Registration Document - Pernod Ricard

ANNUAL CONSOLIDATED FINANCIAL STATEMENTS 4
Notes to the annual consolidated fi nancial statements
The assumptions used in calculating the fair values of the options, other than use of the binomial model and the terms under which the options
were granted, are as follows:
Plan dated
02.11.2004
Plan dated
25.07.2005
Plan dated
14.06.2006
Plan dated
14.06.2006
Plan dated
18.01.2007
Plan dated
21 .06.2007
Type of options Purchase Purchase Purchase SARs SARs Purchase
Performance conditions Unconditional Unconditional Unconditional Unconditional Unconditional Unconditional
Initial share price (in euro after adjustments) 45.03 56.32 57.97 43.51* 44.87** 75.46
Exercise price (in euro after adjustments) 43.15 53.64 59.58 59.58 67.41 76.22
Expected volatility 30% 30% 30% 22% 22% 22%
Expected dividend yield 2% 2% 2% 2% 2% 2%
Risk free rate 3.85% 3.25% 4.00% 4.50% 4.50% 4.50%
IFRS 2 fair value at 30 June 2009 15.43 18.77 18.84 7.82 7.50 19.63
For the SARs granted in June 2006, January 2007 and June 2007 the fair values presented above have been re-estimated at 30 June 2009 in
accordance with IFRS 2.
Plan dated
21 .06.2007
Plan dated
21 .06.2007
Plan dated
21 .06.2007 ***
Plan dated
18 .06.2008
Plan dated
18 .06.2008
Plan dated
18.06.2008***
Type of options SARs Purchase Free Purchase Purchase Free
Performance conditions Unconditional C onditional C onditional Unconditional C onditional C onditional
Share price (in euro) 44.87** 75.46 75.46 64.56 64.56 64.56
Exercise price (in euro) 76.22 76.22 67.48 67.48
Expected volatility 22% 22% N.A. 21% 21% 21%
Expected dividend yield 2% 2% 2% 2% 2% 2%
Risk free rate 4.50% 4.50% 4.50% 4.83% 4.83% 4.83%
Fair value (in euro) 5.23 15.22 69.49 (FRA)
16.07 12.31 55.31 (FRA)
70.24 (RDM)
58.54 (RDM)
* Share price at 15.06.2009.
** Share price at 30.06.2009.
*** FRA: French tax residents; RDM: non-French tax residents.
For the 2002-2006 plans, the volatility assumption was determined
on the basis of the historical daily share price over a period equivalent
to the maturity of the options.
For the 2007 and 2008 plans, the volatility assumption was determined
using a multi-criteria approach taking into consideration:
◆ historic volatility over a period equal to the estimated duration of
the options;
◆ historic volatility over a shorter period;
◆ implicit volatility calculated on the basis of options available in
financial markets.
The volatility assumption used for the 2008 and 2009 measurements
was based on an analysis of historic volatility.
The possibility of the pre-maturity exercise of options was included
in the standard stock option plan measurement model (with and
without market-related performance dependence). The assumption
adopted was that 1% of options would be exercised every year as a
result of employees leaving the Company, that 67% of options would
be exercised when the share price reached 150% of the exercise price
and that 33% would be exercised when the share price rose to 250% of
the exercise price.
The options allocated on 18 June 2008 to Company Directors and
Group Executive Committee are subject to the market performance
of the Pernod Ricard share price relative to the market price on the
date of allocation. The stock options will be exercisable from 19 June
2012, subject to the Pernod Ricard share price having outperformed
the CAC 40 index over the period from 18 June 2008 to 19 June 2012.
A simulation model (Monte Carlo) was used in order to reflect this
performance requirement in the estimated fair value of the options.
The fair value of the free shares allocated on 18 June 2008 under
Plan 16 is the market price of the share on the date of allocation, less
the loss of dividends forecast for the vesting period (2 years for French
tax residents and 4 years for non-French tax residents). For French
tax residents, a cost to reflect the non-saleable nature of the shares
for an additional period of 2 years was also applied and was estimated
as being in the order of 4 to 5% of the fair value of the share. In
addition, the number of free shares granted in the context of this plan
will depend on the level of the Group profit from recurring operations
for the year ended 30 June 2009 compared with budgeted profit from
recurring operations. The fair value of the plan will be adjusted for
this condition at the end of the vesting period at the latest.
I REFERENCE DOCUMENT 2008/2009 I PERNOD RICARD 113